Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0793 |
| Annualized Std Dev | 0.2657 |
| Annualized Sharpe (Rf=0%) | 0.2984 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3528.0000 |
| NAs | 1.0000 |
| Minimum | -0.1180 |
| Quartile 1 | -0.0072 |
| Median | 0.0006 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0085 |
| Maximum | 0.1338 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0010 |
| Variance | 0.0003 |
| Stdev | 0.0167 |
| Skewness | -0.1611 |
| Kurtosis | 7.2455 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0120 |
| Gain Deviation | 0.0120 |
| Loss Deviation | 0.0126 |
| Downside Deviation (MAR=210%) | 0.0164 |
| Downside Deviation (Rf=0%) | 0.0118 |
| Downside Deviation (0%) | 0.0118 |
| Maximum Drawdown | 0.6455 |
| Historical VaR (95%) | -0.0251 |
| Historical ES (95%) | -0.0392 |
| Modified VaR (95%) | -0.0254 |
| Modified ES (95%) | -0.0429 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-06-05 | 2009-03-09 | 2010-12-08 | -0.6455 | 877 | 434 | 443 |
| 2018-08-30 | 2020-03-23 | 2021-01-06 | -0.5161 | 592 | 392 | 200 |
| 2011-07-08 | 2011-10-03 | 2012-02-03 | -0.2641 | 146 | 61 | 85 |
| 2015-04-16 | 2016-02-11 | 2016-11-11 | -0.2556 | 400 | 209 | 191 |
| 2012-03-27 | 2012-06-04 | 2012-09-14 | -0.1491 | 120 | 48 | 72 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | NA | -0.1 | 0.3 | 0.4 | 0.7 | -1.1 | -0.9 | 1.3 | 2.4 | -3.8 | 0.1 | -0.3 | -1.1 |
| 2008 | 2.2 | -2.7 | 2.5 | 0.7 | -0.3 | -0.7 | -0.3 | -0.9 | -1.3 | 2.8 | -9.9 | 6.5 | -2.3 |
| 2009 | -3.8 | -0.7 | 2 | 2 | 4.9 | 1.9 | 0.4 | -2.5 | -3.7 | -3.7 | 1.8 | -1.3 | -3.1 |
| 2010 | 0.4 | 1.5 | 0.3 | -2.6 | -2.3 | -0.7 | 0 | 3.5 | 0.4 | -0.6 | 1.6 | -0.7 | 0.6 |
| 2011 | 2.4 | -1.6 | 0.2 | 0.5 | -2 | 1.4 | -0.5 | -2.9 | -2.5 | -3.4 | 0.8 | -0.2 | -7.8 |
| 2012 | 2.6 | 0.5 | 0 | -0.4 | -3 | 3.5 | -1.3 | 0.5 | 0.6 | 1.1 | -0.2 | 2.1 | 6 |
| 2013 | 1.2 | 0.1 | -1.5 | -2.1 | -0.8 | 1.9 | 1.5 | -1.9 | 1 | -0.4 | 0.1 | 0.1 | -1 |
| 2014 | -0.6 | 0 | 1.2 | -0.4 | -0.3 | 1.2 | -0.5 | 0.6 | -1.3 | 1.6 | -1.8 | -0.4 | -0.7 |
| 2015 | -1.9 | -0.7 | 0.1 | 0.4 | -0.2 | -0.3 | 0 | -3 | -0.4 | -0.3 | 0.6 | -0.9 | -6.4 |
| 2016 | -0.6 | 1.7 | -0.1 | -0.6 | 0.5 | 0.5 | -0.3 | -0.6 | 1.2 | -1.2 | 0.1 | -0.3 | 0.3 |
| 2017 | 0.1 | 1.2 | 0.4 | 0 | 2.1 | -0.5 | 0.6 | 0.5 | 0.1 | -0.6 | -0.9 | -0.8 | 2.3 |
| 2018 | -0.2 | -0.2 | 1 | -0.3 | 0.8 | -0.2 | -0.3 | 0.4 | -1.1 | 1.9 | 0.2 | 0.6 | 2.6 |
| 2019 | 0.3 | 0.5 | 1.6 | -1.1 | -1.8 | 0.1 | -2.4 | 0 | -1.9 | 1.9 | -0.6 | 0.4 | -3.1 |
| 2020 | -2.4 | -1.1 | -6.5 | -4.3 | 1 | -2.2 | -1.1 | 1.9 | 1.3 | -1.4 | 1.3 | 0.3 | -12.9 |
| 2021 | 2.2 | 3.3 | 0.5 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 6.1 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2007-02-23 16.7 SPY 145. -0.0039 -0.0034 0.0094 0.0342 0.124 0.268 0.342 GLD 67.7 0.0085 0.0197
2 2007-02-26 16.7 SPY 145. -0.0009 -0.0038 0.0205 0.0322 0.125 0.269 0.324 GLD 68.1 0.0056 0.0262
3 2007-02-27 16.1 SPY 140. -0.0391 -0.0448 -0.0187 -0.0101 0.078 0.214 0.252 GLD 65.4 -0.0395 0.0015
4 2007-02-28 16.1 SPY 141. 0.0103 -0.0346 -0.0079 0.0041 0.0886 0.226 0.267 GLD 66.5 0.0164 -0.0119
5 2007-03-01 16.0 SPY 141. -0.003 -0.0367 -0.016 0.0151 0.0958 0.222 0.258 GLD 65.8 -0.0099 -0.0198
6 2007-03-02 15.8 SPY 139. -0.0131 -0.0456 -0.0353 -0.0025 0.0719 0.194 0.248 GLD 63.7 -0.0321 -0.0592
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
